Approximating the Laplace transform of the sum of dependent lognormals
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Publication:5197405
DOI10.1017/apr.2016.50zbMath1426.60021arXiv1507.03750OpenAlexW2964110409MaRDI QIDQ5197405
Jens Ledet Jensen, Leonardo Rojas-Nandayapa, Patrick J. Laub, Soren Asmussen
Publication date: 23 September 2019
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1507.03750
asymptoticssaddlepoint approximationimportance samplinglognormal distributionquasi-Monte CarloLambert W functionnumerical Laplace-transform inversion
Monte Carlo methods (65C05) Characteristic functions; other transforms (60E10) Laplace transform (44A10)
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Cites Work
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